. 2022 Mar 3;8(1):21. doi: 10.1186/s40854-021-00331-4

Table 6.

Robustness Test

Panel A – Pre-COVID						Panel B – COVID-19
Dependent Variable	Bonds	Sukuk	Green Sukuk	Conventional Stock	Islamic Stocks	Bonds	Sukuk	Green Sukuk	Conventional Stock	Islamic Stocks
Bonds		1.1499	2.3452	67.904***	0.4654		1.2852	6.794**	46.679***	0.66955
		(0.563)	(0.310)	(0.000)	(0.792)		(0.526)	(0.033)	(0.000)	(0.715)
Sukuk	0.3423		3.1707	18.759***	1.938	0.0422		80.411***	1.0233	8.0294**
	(0.843)		(0.205)	(0.000)	(0.379)	(0.979)		(0.000)	(0.599)	(0.018)
Green Sukuk	0.2237	1.6002		32.047***	5.0952*	1.1735	0.129		13.852***	4.7568*
	(0.894)	(0.449)		(0.000)	(0.078)	(0.556)	(0.938)		(0.001)	(0.093)
Conventional Stock	0.1483	3.9826	0.26059		4.5787	5.3209*	13.796***	6.7266**		3.2755
	(0.929)	(0.137)	(0.878)		(0.101)	(0.070)	(0.001)	(0.035)		(0.194)
Islamic Stocks	2.4464	0.35056	3.802	10.545***		5.728*	5.7216*	0.6077	8.5643**
	(0.294)	(0.839)	(0.149)	(0.005)		(0.057)	(0.057)	(0.738)	(0.014)

This table provides the results for robustness test using time series adjusted returns. Panel A provides the VAR Granger causality WALD test for the pre-COVID-19 period (March 4, 2019 to March 1, 2020) and Panel B provides VAR Granger causality WALD test for the COVID-19 period (March 2, 2020 to December 4, 2020). First column presenting the dependent variable. *, **, *** denote significance at 10%, 5%, 1% respectively. Two steps are performed. In the first step, time series adjusted returns have been calculated based on the regression equation: ${ER}_{t} = α + β_{1} {Mkt}_{t} + β_{2} {Ex}_{t - 1} + β_{3} {Vol}_{t} + β_{4} {Day}_{t} + ε_{t}$ where ${ER}_{t}$ is excess returns (raw returns in excess of the short rate), ${Mkt}_{t}$ is the excess market return (which we proxy using the Jakarta stock exchange price), ${Ex}_{t - 1}$ is the bilateral exchange rate (Rupiah vis-à-vis the US dollar), $Vol$ is the stock market return volatility and $Day$ is the day-of-the-week effect, where Monday, Tuesday, Thursday and Friday dummies are used